Implied Volatility Mover and Volume Signals for Monday, January 7, 2013
Implied Volatility Mover
Implied volatility in the options on CREE is moving higher, as the stock comes under fire Monday. Shares of the Durham, NC light-emitting diode (LED)-maker are down $2.10 to $32.26 in active trading of more than 2 million shares. By way of comparison, typical volume in CREE through midday is about 750,000. At the same time, options volume is running 2.5X the daily average. 6,600 calls and 11,000 puts trade on the stock far. February 35 puts and January 35 calls are the most actives, and 30-day implied volatility in Cree options rose 19.5 percent to 48.
Volume Signals
Las Vegas Sands (LVS) options volume is running 2X the (22-day) average, with 65,000 contracts traded and call volume accounting for 90 percent of the volume.
Gold Fields (GFI) options volume is 18X, the average daily, with 100,000 contracts traded and call volume representing 99 percent of the activity.
Pandora (P) options volume is running 2.5X the average daily, with 30,000 contracts traded and call volume accounting for 63 percent of the activity.
Increasing options activity is also being seen in Vivus Pharmaceuticals (VVUS), Alcatel Lucent (ALU), and CREE.
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